How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.6748	3.46***
β GARCH Volatility persistence	0.4498	42.71***
γ leverage Additional response to negative shocks	-0.5000	-1.18
λ₁ tau intercept Baseline long-term coefficient	0.4464	10.37***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9938	331.80***

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Rendong Holdings Group Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rendong Holdings Group Co Ltd Analyses